Press Release

DBRS Morningstar Assigns AA Rating to New Series Under Cajasur Banco S.A. Cédulas Hipotecarias

Covered Bonds
March 11, 2020

DBRS Ratings GmbH (DBRS Morningstar) assigned a AA rating to the Cédulas Hipotecarias (CH; the Spanish Mortgage Covered Bonds) with ISIN ES0413464027 under the Cajasur Banco S.A. Covered Bonds (Cédulas Hipotecarias - Mortgages) programme (the Programme).

As of today, and including the newly issued series, there were seven CH series under the Programme, totalling an outstanding nominal amount of EUR 3.6 billion. All CH series issued under the Programme rank pari passu with each other. DBRS Morningstar currently rates the outstanding CH ES0413464019 at AA.

The rating reflects the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) reflective of the likelihood that the source of payments will switch from the Reference Entity to the cover pool (CP). Cajasur Banco S.A. (Cajasur) is the Issuer and Reference Entity for the Programme. There is no Critical Obligations Rating associated with the Reference Entity and DBRS Morningstar classifies Spain as a jurisdiction in which covered bonds are a particularly important funding instrument.
-- A legal and structuring framework (LSF) assessment of “Average” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of BBB (low), which is the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of A (high).
-- A two-notch uplift for high recovery prospects.
-- A level of overcollateralisation (OC) of 89.7% to which DBRS Morningstar gives credit, which is the minimum observed OC level during the past 12 months adjusted by a scaling factor of 0.85.

DBRS Morningstar analysed the transaction using its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses, and market value spreads to calculate liquidation values on the CP.

Everything else being equal, a one-notch downgrade of the CBAP would lead to a one-notch downgrade of the LSF-L, resulting in a one-notch downgrade of the covered bonds rating.

In addition, everything else being equal, the CH rating would be downgraded if any of the following were to occur: (1) the CPCA were downgraded below BBB (low); (2) the quality of the CP and the level of OC were no longer sufficient to support a two-notch uplift for high recovery prospects; (3) the relative amortisation profile of the CH and CP moved adversely; or (4) volatility in the financial markets were to cause the currently estimated market value spreads to increase.

The total outstanding amount of CH is currently EUR 3.6 billion. As at 31 December 2019, the aggregate balance of the mortgages in the CP was EUR 7.4 billion, resulting in a total OC of 105.6%. The eligible CP stands at EUR 6.3 billion, resulting in an eligible OC of 74.4%.

As of December 2019, the CP comprised 104,833 mortgage loans with a weighted-average current unindexed loan-to-value ratio of 56.4%, split as follows: 84.7% residential, 8.6% commercial, 3.6% developers, and 3.1% land loans. The pool is concentrated in Andalusia (98.4%), Cajasur’s main area of business activity. The pool has a seasoning of 8.3 years.

The majority of the loans in the CP (80.0%) are floating rate, while 20.0% of the liabilities pay a fixed coupon. As is usual in Spanish CH, there are no swaps for the benefit of the CH holders. This has been accounted for in DBRS Morningstar’s cash flow analysis.

The weighted-average life of the assets is approximately 9.9 years, while that of the covered bonds is about 3.4 years. The resulting asset-liability maturity mismatch is mitigated by the available OC.

All liabilities are denominated in euros, while 0.03% of the pool assets by loan balance were originated in a different currency. This residual exposure is mitigated by the available OC.

DBRS Morningstar has assessed the LSF related to the Programme as “Average” according to its rating methodology. For more information, please refer to the DBRS Morningstar commentaries: “Spanish Mortgage Covered Bonds: Legal and Structuring Framework Review” and “DBRS Assigns Legal and Structuring Framework Assessment to Spanish Mortgage Covered Bonds Programmes”, which are available at

For further information on the Programme, please refer to the rating report that is available on

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating and Monitoring Covered Bonds”.

In DBRS Morningstar’s opinion, the change under consideration does not require the application of the entire principal methodology. Therefore, DBRS Morningstar focused on the cash flow analysis.

A review of the transaction legal documents was limited to the final terms of CH ES0413464027.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on at:

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include historical default performance data and stratification tables on the CP provided by Cajasur.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Antonio Laudani, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 19 July 2019

DBRS Ratings GmbH, Sucursal en España
Calle del Pinar, 5
28006 Madrid

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating and Monitoring Covered Bonds
-- Rating and Monitoring Covered Bonds Addendum: Market Value Spreads
-- Global Methodology for Rating Banks and Banking Organisations
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating CLOs and CDOs of Large Corporate Credit
-- Rating CLOs Backed by Loans to European SMEs
-- Global Methodology for Rating Sovereign Governments

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at